Sampling of Diffusion Processes for Real-time Estimation
Sampling of Diffusion Processes for Real-time Estimation
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Date
2004
Authors
Rabi, Maben
Baras, John S.
Advisor
Baras, John S.
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Abstract
This paper addresses the causal sampling of observations of a diffusion process that results in a good quality continuous estimator based upon these samples. The optimal sampling scheme with a fixed number of samples is found by solving an optimal (multiple) stopping problem. This is solved explicitly in a special case. A class of threshold approximations is also described.